public double EuropeanOption(string CallOrPut, double S, double K, double v, double r, double T, double q)
{
double retValue;
double d1;
double d2;
double nd1;
double nd2;
double nnd1;
double nnd2;
d1 = (Math.Log(S / K) + (r - q + 0.5 * Math.Pow(v, 2)) * T) / (double)(v * Math.Sqrt(T));
d2 = (Math.Log(S / (double)K) + (r - q - 0.5 * Math.Pow(v, 2)) * T) / (double)(v * Math.Sqrt(T));
nd1 = NormsDistribution.N(d1);
nd2 = NormsDistribution.N(d2);
nnd1 = NormsDistribution.N(-d1);
nnd2 = NormsDistribution.N(-d2);
if (CallOrPut == "CE")
{
retValue = S * Math.Exp(-q * T) * nd1 - K * Math.Exp(-r * T) * nd2;
}
else
{
retValue = -S *Math.Exp(-q *T) * nnd1 + K * Math.Exp(-r * T) * nnd2;
}
return(retValue);
}
//public void OptionPrice(object OptionType, object S, object X, object T, object r, object v, object d)
//{
// if (OptionType == "Call")
// OptionPrice = Exp(-d * T) * S * Application.NormSDist(dOne(S, X, T, r, v, d)) - X * Exp(-r * T) * Application.NormSDist(dOne(S, X, T, r, v, d) - v * Sqr(T));
// else if (OptionType == "Put")
// OptionPrice = X * Exp(-r * T) * Application.NormSDist(-dTwo(S, X, T, r, v, d)) - Exp(-d * T) * S * Application.NormSDist(-dOne(S, X, T, r, v, d));
//}
public double OptionDelta(string OptionType, double S, double X, double r, double T, double v, double d)
{
double retValue = 0;
if (OptionType.ToString() == "CE")
{
retValue = NormsDistribution.N(dOne(S, X, T, r, v, d));
}
else if (OptionType.ToString() == "PE")
{
retValue = NormsDistribution.N(dOne(S, X, T, r, v, d)) - 1;
}
return(Math.Round(retValue, 2));
}
public double NdTwo(double S, double X, double T, double r, double v, double d)
{
return(NormsDistribution.N(dTwo(S, X, T, r, v, d)));
}